Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1172
Annualized Std Dev 0.3061
Annualized Sharpe (Rf=0%) -0.3829

Row

Daily Return Statistics

Close
Observations 3486.0000
NAs 1.0000
Minimum -0.2331
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean -0.0003
Geometric Mean -0.0005
Quartile 3 0.0060
Maximum 0.2082
SE Mean 0.0003
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0003
Variance 0.0004
Stdev 0.0193
Skewness -0.3035
Kurtosis 24.3848

Downside Risk

Close
Semi Deviation 0.0140
Gain Deviation 0.0152
Loss Deviation 0.0171
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0141
Downside Deviation (0%) 0.0141
Maximum Drawdown 0.9291
Historical VaR (95%) -0.0274
Historical ES (95%) -0.0480
Modified VaR (95%) -0.0242
Modified ES (95%) -0.0242
From Trough To Depth Length To Trough Recovery
2007-06-06 2020-04-03 NA -0.9291 3468 3226 NA
2007-05-10 2007-05-18 2007-05-31 -0.0384 14 7 7
2007-05-07 2007-05-08 2007-05-09 -0.0038 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.2 -3.7 -6.1 2.5 2.5 -3.1 1.6 0.2 -5.9
2008 3.8 -2.4 6.6 3.6 -0.4 -0.8 2.1 0.5 -0.6 4.8 -11.8 3.2 7.5
2009 -1 -0.8 1 -0.9 1.5 1.6 0.2 -2.4 -2.4 -2.6 -0.5 -0.2 -6.3
2010 0.1 0.2 0.5 -1.2 -1.3 -0.1 0.1 1.8 0 -0.4 0.7 -0.5 -0.3
2011 1.2 -1.2 0 0.5 -1.6 1.6 1.8 -3.2 -1.8 -2.9 -0.2 -0.4 -6.2
2012 0.4 -0.1 0.1 0.1 -1.4 0.8 -0.4 0.5 0.1 -0.1 0.4 0.3 0.8
2013 0.3 -0.2 -0.4 -1.1 -2.2 -0.2 -1.7 -0.6 1.1 0.7 0 0.9 -3.5
2014 0.7 0.5 0.6 0.3 0.6 -0.6 0.2 0.3 0.7 0.4 -0.6 -1.3 1.8
2015 -0.3 0.8 0.3 0.4 0.2 0.9 0.1 -1 0.2 -0.2 0 -0.2 1.2
2016 -0.7 -0.1 -0.3 0.2 0.8 -0.2 0.5 -0.4 0.2 -1.8 -1.5 -0.6 -3.9
2017 0.2 -0.3 -0.2 0.9 1 -0.3 0.5 0.4 -0.1 0.4 0.3 -1 1.7
2018 0.1 0.3 0.9 0.1 0 -0.5 -0.7 -0.3 -0.3 -0.3 -0.2 -1.1 -2.1
2019 -0.3 -0.3 0.6 -0.4 -1 -0.1 -0.6 -0.1 -1.1 0.3 0.3 0 -2.7
2020 -0.4 -2.9 -12.3 -2.6 3.3 -1.5 -0.5 0.6 1.1 -0.9 1.1 0.6 -14.3
2021 1.8 1.5 1 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-04  201. SPY    151.  0.0038  0.00930   0.0491   0.0422    0.153    0.346    0.388 GLD    68.2  0.0104  0.00930
2 2007-05-07  201. SPY    151.  0.0002  0.0179    0.0465   0.0421    0.149    0.347    0.403 GLD    68.2  0.0009  0.0173 
3 2007-05-08  200  SPY    151. -0.0013  0.014     0.0437   0.0404    0.138    0.337    0.429 GLD    67.9 -0.0054  0.0178 
4 2007-05-09  201. SPY    151.  0.0027  0.0108    0.0453   0.041     0.142    0.352    0.438 GLD    67.4 -0.0063  0.0119 
5 2007-05-10  199. SPY    150. -0.0105 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215 -0.0221 
6 2007-05-11  200. SPY    151.  0.0086 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068 -0.0255 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart